PnL
| Store Field | Key | CanBeNull | Type | Cube Field | Description |
|---|---|---|---|---|---|
| AsOfDate | Y | N | Object | AsOfDate | Indicates the date of the file. The files in this document that contain an AsOfDate column will rely on that AsOfDate when loaded into the Atoti Server datastores. For the files that do not specify this column (whether described in this document or not), the AsOfDate is taken from the directory structure – these files should reside in the appropriate folder (usually ./data/20xx-yy-zz/ … /*.csv). |
| TradeKey | Y | N | String | This field is for internal use only | The field contains the tradeID for full data or Book#VaR Inclusion for summary data. |
| TradeId | N | Y | String | TradeId | If TradeId comes from multiple systems you may need to prepend source system to the ID for uniqueness. Note that in certain cases, the TradeId could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk. The TradeId should contain this information clearly (ADDON or ADJ). Example: “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc. |
| Daily | N | N | Double | Measure: DTD PnL Native | The DTD PnL value. |
| Type | Y | N | String | Type | The type of PnL. Example: ‘Actual PL’ |
| PLDriver | N | N | String | PLDriver | Driver for the PnL value. Example: ‘Market moves’ |
| IsFullReval | N | N | String | IsFullReval | Indicates whether the PnL comes from a full revaluation in the risk engine. |
| Ccy | N | N | String | Ccy | The currency of the PnL value. |
| MarketDataSet | Y | N | String | This field is not currently used | The market data set that should be used when retrieving rates for FX conversion. |
| Bucket | N | Y | String | Bucket | Placeholder for a set of risk factors that are grouped together by common characteristics. |
| LegId | Y | Y | String | Legs | Optional input to send in trades that will have multiple legs under a single TradeId. Only available when the property mr.pnl.enable.leg-id is set to true. If using this field, please make sure your input file contains this field. |
Product Control Additional Fields
| Store Field | Key | CanBeNull | Type | Cube Field | Description |
|---|---|---|---|---|---|
| Monthly | N | N | Double | Measure: MTD PnL Native | The MTD PnL value. |
| Yearly | N | N | Double | Measure: YTD PnL Native | The YTD PnL value. |
| Lifetime | N | N | Double | Measure: LTD PnL Native | The LTD PnL value. |